We have studied the option pricing problems in the incomplete asset market, which is one of the important problems in the field of mathematical finance. Our goal is the construction of the [Geometric Levy process & MEMM] pricing model, in which the geometric Levy processes are adopted as the underlying asset price processes and the MEMM (=minimal entropy martingale measure) is adopted as the martingale measure. And we have investigated the fundamental theories for the construction of this model and the applications of this mode to the option pricing.We first established the existence theorem of MEMM for the geometric Levy processes, and we nest investigated the properties of MEMM and the properties of the [Geometric Levy process & MEMM] pricing model. Especially we have studied the relations between the MEMM and the Esscher martingale measure comparing each other. We investigated the methods for the application of this model, for example the method for the estimation of Levy processes. We also investigated the calibration problems of our model.